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Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid |
Documentos disponibles de esta editorial (85)
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Álvarez, Francisco ; Marrero, Gustavo A. ; Puch, Luis A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004This paper analyses the role of macroeconomic performance in shaping the evolution of air pollutants in a panel of European countries from 1990 to 2000. The analysis is addressed in connection with EU environmental regulation and taking into acc[...]![]()
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Bujosa Brun, Marcos ; García Ferrer, Antonio ; Young, Peter C. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03Among the alternative Unobserved Components formulations within the stochastic state space setting, the Dynamic Harmonic Regression (DHR) has proved particularly useful for adaptive seasonal adjustment signal extraction, forecasting and back-cas[...]![]()
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Novales Cinca, Alfonso ; Abad Romero, Pilar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-03The first two principal components in the vector of term structure slopes from IRS markets in eight major currencies can be approximately identified as the slopes for the US dollar and Deutsche mark. Each of the eight slopes considered is cointe[...]![]()
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Cabrales, Antonio ; Lugo, Haydée | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03We analyze the effect of a large group on an impure public goods model with lotteries. We show that as populations get large, and with selfish preferences, the level of contributions converges to the one given by voluntary contributions. With al[...]![]()
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Chang, Chia-Lin ; Franses, Philip Hans ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-03Many macro-economic forecasts and forecast updates, such as those from the IMF and OECD, typically involve both a model component, which is replicable, as well as intuition (namely, expert knowledge possessed by a forecaster), which is non-repli[...]![]()
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Domínguez, Emilio ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002We evaluate the extent to which the explanatory power detected in the term structure in different markets and countries can actually be used to produce sensible forecasts of future short-term interest rates. Specifically, in spite of the forecas[...]![]()
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Sari, Ramazan ; Hammoudeh, Shawkat ; Chang, Chia-Lin ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011-04This paper examines the roles of futures prices of crude oil, gasoline, ethanol, corn, soybeans and sugar in the energy-grain nexus. It also investigates the own- and cross-market impacts for lagged grain trading volume and open interest in the [...]![]()
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Pérez Sánchez, Rafaela María | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004This paper extends the neoclassical growth model with productive public capital by including an infrastructure efficiency index, which is assumed to depend on a public choice variable, in particular, the share of public spending allocated to pro[...]![]()
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Álvarez González, Francisco ; Deissenberg, Christophe | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se presenta un juego repetido que modeliza la interacción entre un gobierno optimizador y el sector privado, representado por un continuo de agentes heterogéneos y atomísticos. Abstract: This paper presents a simple repeated-game model of intera[...]![]()
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Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004Econometric models applied to observed data, specified and estimated using traditional Box-Jenkins techniques, have been widely used to forecast Quarterly National Account (QNA) aggregates. We assess the extent to which an alternative forecastin[...]![]()
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Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se analiza, dado un objetivo a largo plazo del ratio inversión pública/PIB, este ratio, además va a reaccionar a lo largo de la transición según el estado de la economía. Esta regla de inversión pública es mas flexible que la que es comunmente c[...]![]()
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Dobado González, Rafael ; Marrero, Gustavo A. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2004This paper deals with a polemic and relevant aspect of the economic history of Porfirian Mexico: the integration of agricultural domestic markets. Since corn was the staple product of the commercial agricultural sector and also the main subsiste[...]![]()
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Díaz, Antonia ; Puch, Luis A. ; Guilló, María D. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001In time series data, energy use does not change much with energy price changes. However, energy use is responsive to international differences in energy prices in cross-section data across countries. In this paper we consider a model of energy u[...]![]()
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Abad Romero, Pilar ; Díaz, Antonio ; Robles-Fernandez, M. D. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011We test whether or not different rating announcements contain pricing-relevant information and modify trading activity patterns in the Spanish commercial paper and corporate bond markets. We observe a statistically significant widening of yield [...]![]()
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Casals Carro, José ; Jerez Méndez, Miguel ; Sotoca López, Sonia | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2006This paper shows how to compute the in-sample effect of exogenous inputs on the endogenous variables in any linear model written in state-space form. Estimating this component may be, either interesting by itself, or a previous step before decom[...]![]()
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Cerno, Leonel ; Pérez-Amaral, Teodosio | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005The goal of this paper is to analyze a new phenomenon: Internet demand in Spain. To do so, we use a new high quality data set and advanced econometric techniques for estimating Internet demand functions, incorporating the socio-demographic chara[...]![]()
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García Hiernaux, Alfredo ; Jerez Méndez, Miguel ; Casals Carro, José | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2005En este trabajo se propone un nuevo procedimiento para detectar raíces unitarias basado en métodos de subespacios. Nuestra propuesta tiene tres aspectos originales principales. Primero, la misma metodología puede aplicarse a series individuales [...]![]()
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Abad Romero, Pilar ; Díaz, Antonio ; Robles-Fernandez, M. Dolores | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2011The influence of rating announcements on corporate debt market trading has been previously overlooked. Based on an event study, we examine the effects of the three types of announcements provided by credit rating agencies on abnormal trading vol[...]![]()
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García Hiernaux, Alfredo | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02The problem of diagnostic checking is tackled from the perspective of the subspace methods. Two statistics are presented and its asymptotic distributions are derived under the null. The procedures generalize the Box-Pierce statistic for single s[...]![]()
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Caporin, Massimiliano ; McAleer, Michael | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2009-02Large and very large portfolios of financial assets are routine for many individuals and organizations. The two most widely used models of conditional covariances and correlations are BEKK and DCC. BEKK suffers from the archetypal "curse of dime[...]![]()
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Stancu-Minasian, I.M. ; Caballero, R. ; Cerdá Tena, Emilio ; Muñoz, María del Mar | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07A nonlinear fractional programming problem is considered, where the functions involved are diferentiable with respect to an arc. Necessary and suficient optimality conditions are obtained in terms of the right diferentials with respect to an arc[...]![]()
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Domínguez, Emilio ; Novales Cinca, Alfonso | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002Using monthly data on Euro-rates for 1979-1998, we examine the extent to which crosscountry information on term structure slopes can be used to improve upon univariate slope forecasts. This is interesting from the point of view of forecasting ec[...]![]()
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Fernández Casillas, Mª Esther ; Pérez Sánchez, Rafaela María ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-09En este artículo se estudian los efectos de una reforma impositiva caracterizada por un incremento en el impuesto medioambiental, en un modelo de crecimiento endógeno AK en el que ningún agente dedica recursos a reducir la contaminación y en el [...]![]()
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Novales Cinca, Alfonso ; Ruiz Andújar, Jesús | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2001Se discute la posibilidad de cambios en la política fiscal que mejoren el bienestar en las economías reales, en un modelo de crecimiento endógeno con acumulación de capital humano. Abstract In an endogenous growth model with human capital accumu[...]![]()
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Aguilar Barceló, José G. | Instituto Complutense de Análisis Económico. Universidad Complutense de Madrid | 2002-07The Spanish regulatory authority recently implemented a new interconnection regime based on capacity (and not per time) payments in fixed telecommunications. We propose a dynamic duopolistic model of final service competition in which the entran[...]